A cookie is a harmless text file that it is stored in your browser when you visit any website. The cookie function is that the website be able to remember your visit when you come back. Although a lot of people don’t know, cookies have been used from more than 20 years. Already they existed when they appeared the first browsers for World Wide Web.
It is not a virus, nor a Trojan horse, nor a worm, nor a spam, nor a spyware, nor it doesn’t open pop-up.
Cookie don’t need to store sensitive information about you, like credit card or bank information, photos, your DNI or personal information. The information that it stores are technical character, personal preference, contents personalization, etc.
The web server is not associated to you as a person but with your browser. In fact, if you surf usually with Internet Explorer and you try to surf in the same web with Firefox or Chrome, you can see that the web don’t realize that you are the same person because actually the cookies are associated in your browser, not in your person.